Your employer should split your wages between the two states on your W-2 form. They might issue two W-2's which are the same except for the state information.
When you enter your information into TurboTax, enter your first state information. Then click +Add another state to create a second for your second state. If your states have local tax, click +Add another locality.
SECOND OPINION:
No...you do not file non-resident in KY, nor do you indicate that you worked in another state on the My Info page. All your work in KY is taxed as-if earned in IN. (possible exceptions for "locality" taxes in boxes 18.19.20, but you don't file a tax return for those localities)
KY and IN have a reciprocal tax agreement, whereby cross-border workers are only taxed by their home state. IN also ahs a similar agreement with MI, OH, PA and WI
I agree with SteamTrain. You do not file a KY return because of the reciprocal agreemnet,
Very important: In the personal info section, when it asks if you made money in another state, answer NO, per the reciprocal state instructions, on that page. This will prevent TurboTax from thinking you need to file an KY return.
However the reciprocity agreement does not apply to local city/county taxes. You are not required to file a local city return, but you are also not entitled to a refund of the city withholding (box19 on your W-2), unless there was an error in the amount.
Most IN counties (but not the state) allow a credit, or partial credit for tax paid to a KY city or county. That will come up in the IN state interview. For how to enter, see: https://ttlc.intuit.com/questions/4699137-i-see-no-separate-question-for-school-taxes-in-indiana-like-ohio-i-listed-my-county-of-residence-and-address-are-they-collected-automatically-based-on-address
Your employer should only be withholding IN taxes. If they are withholding KY taxes, submit KY Form 42A809 to them, certifying that you are exempt from KY withholding. Here's a link to that form:
@zanester0727 Form 42A809 will only apply to KY state withholdings, but not local taxes. Any KY localities that have a tax will tax you when you work in the locality, even if you don't live there. This local tax is not affected by the reciprocal agreement, but as @Hal_Al mentions, Indiana allows you to claim a credit for these local taxes you pay to KY against local taxes you are still responsible for paying to your Indiana county, and which are reconciled on the Indiana State return.